If you want a challenging end game you should play on VH/M at least and also help the dumb AI in some ways:
1. Choose a faction you wish to support ( Selucids for example )
2. If you have tons of money - you are free to give them some ( 10.000 per turn will do nice )
3. Use your armies to help them with their enemies
4. in the end of the game they will be a hard enemy with good troops.